You can load a file from REPL using LOAD function. This also works anywhere, although directly loading files is fairly rare, since for programmatic uses you would use a system definition facility.

The typical way to develop Common Lisp code with Emacs is to use slime (which is best installed using Quicklisp). Slime includes commands for compiling and loading a file associated with a buffer, or evaluating single function definitions Practical Common Lisp describes some of that workflow in early chapters.